Identifying long-run and short-run relationships in the European Union softwood market

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F62156489%3A43410%2F22%3A43921925" target="_blank" >RIV/62156489:43410/22:43921925 - isvavai.cz</a>
Result on the web
<a href="https://doi.org/10.1016/j.forpol.2022.102821" target="_blank" >https://doi.org/10.1016/j.forpol.2022.102821</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.1016/j.forpol.2022.102821" target="_blank" >10.1016/j.forpol.2022.102821</a>

Result language
angličtina
Original language name
Identifying long-run and short-run relationships in the European Union softwood market
Original language description
We analyzed the relationship of the softwood market in chosen EU countries. The long-run relationship was tested using the multivariate Johansen procedure and bivariate Engle-Granger cointegration test. Precedence and causality of markets in the short-run were tested using the weak exogeneity test for cointegrated markets and the Granger causality test for not cointegrated. The material consists of quarterly sawlog and pulpwood delivery prices (spruce and pine) covering 2005 to 2020. Using the Zivot-Andrew and Chow test, we identify a structural break in price series between 2007 and 2009 (breakpoints differ between markets) accruing during the great financial crisis. Results indicated that seven of seventeen sawlogs and nine of fifteen pulpwood markets were cointegrated. Long-term cointegration relationship was stated between neighboring markets: Austria, Czechia, Germany, Slovakia, and in the case of pulpwood, additionally between Finland and Germany and Czechia. In short-run causality analysis, sawlog markets in Austria, Germany, and Finland were identified as leaders and Czechia, Estonia, Poland, and Slovakia as followers. In pulpwood markets, leading prices were identified in Austria, Czechia, and Germany, and following prices in Poland, Sweden and Lithuania.
Czech name
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Czech description
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Type
J<sub>imp</sub> - Article in a specialist periodical, which is included in the Web of Science database
CEP classification
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OECD FORD branch
40102 - Forestry

Project
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Continuities
I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace

Publication year
2022
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

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